However, as mentioned in the Introduction, one can find the solution to these problems semi-analytically using the HP and GIT methods for some one-factor models, including the time-dependent OU (Vasicek) model in
[1]}, [2]}, [3]}, for the Hull-White model in [4]}, for the CEV and CIR models in [5]}, and then in a general form for any model that can be reduced to the heat equation - in [6]}. In other words, solving these problems doesn't require the ML method. Therefore, below we consider some other models for which the barrier pricing problems cannot be directly solved by the HP or GIT methods but can be solved by using the ML method.
